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Faster Valuation of Financial Derivatives
TLDR
We report on numerical testing which compares low-discrepancy and Monte Carlo algorithms on the evaluation of financial derivatives which is formulated as the computation of ten integrals of dimension up to 360. Expand
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Average Case Complexity of Multivariate Integration for Smooth Functions
  • S. Paskov
  • Computer Science, Mathematics
  • J. Complex.
  • 1 June 1993
TLDR
We study the average case complexity of multivariate integration for the class of smooth functions equipped with the folded Wiener sheet measure. Expand
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New methodologies for valuing derivatives
TLDR
We report on numerical testing which compares low discrepancy and Monte Carlo algorithms on the evaluation of financial derivatives and conclude that the Sobol algorithm is always superior to the other algorithms. Expand
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Computing High Dimensional Integrals with Applications to Finance
TLDR
We report on numerical testing which compares low discrepancy and Monte Carlo algorithms on the evaluation of nancial derivatives on a Collateralized Mortgage Obligation. Expand
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Singularity of bivariate interpolation
Abstract We study a question of G. Lorentz and R. Lorentz about the singularity in the bivariate interpolation. Infinitely many new singular matrices are constructed which correspond to the HermiteExpand
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Faster Valuation of
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The Use of Low Discrepancy Points in Valuing Complex Financial Instruments
Modern finance has evolved the use of very complex financial instruments. Stock and interest rate options fit this description. Another example of such an instrument would be a mortgage poolExpand
Analysis of multivariate problems with applications to finance
This dissertation studies theoretical and practical aspects of multivariate problems with emphasis on high dimensional integration. It is composed of three parts. The first part studies the averageExpand
Termination Criteria for Linear Problems
  • S. Paskov
  • Computer Science, Mathematics
  • J. Complex.
  • 1 March 1995
TLDR
We study two termination criteria which are used in computational practice. Expand
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